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RiskMinds International
7 - 10 November 2022
W Barcelona

Scott Aguais
Managing Director & Founder at Aguais And Associates / Z-Risk Engine

Profile

Dr. Aguais has over 30 years’ experience, utilizing E2E cross-functional teams to, develop, and implement advanced credit risk analytics and models in large banking institutions.

He spent 10 years delivering credit models and analytics through consulting at DRI/McGraw-Hill, AMS, KPMG and Algorithmics. From 2002 to 2014, he led the Basel II credit modelling teams at Barclays Capital and the Royal Bank of Scotland, achieving successful Basel II Waivers for each Bank. This effort including pioneering the first PIT/TTC Dual Ratings approach that was formally part of the successful Basel efforts.

In 2015, he founded Aguais And Associates to bring Z-Risk Engine to the market to support PIT/TTC ratings for IFRS9 and Stress testing – ZRE is a centralized Python or SAS platform that is fully customized and calibrated to a bank’s own specific portfolio segmentations. ZRE utilizes each bank’s IRB wholesale and commercial credit models as key inputs. Currently, an additional, long-run Climate Risk module is under development to extend ZRE.

Dr. Aguais earned a Ph.D in Economics and is widely published in the credit risk modelling literature with his long-time collaborator, Dr. Larry Forest, having published roughly 25 credit risk publications and leading the global thought leadership on PIT/TTC ratings.